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View Code? Open in Web Editor NEWFully Flexible Probabilities for Stress-Testing and Portfolio Construction
Home Page: https://reckziegel.github.io/FFP/
License: Other
Fully Flexible Probabilities for Stress-Testing and Portfolio Construction
Home Page: https://reckziegel.github.io/FFP/
License: Other
Review the entropy_pooling
function to speed up computations and memory usage.
Even if entropy_pooling()
works fine, the function is still shy in the package as a whole. Maybe if there were constructors for the views, this function could have a central spot here and in the CMA (#6).
The difference between ts
and mts
can pave the way for subtle bugs. Example:
colnames(EuStockMarkets)
#> [1] "DAX" "SMI" "CAC" "FTSE"
names(EuStockMarkets)
#> NULL
is.mts(EuStockMarkets)
#> [1] TRUE
is.ts(EuStockMarkets)
#> [1] TRUE
colnames(EuStockMarkets[ , 1])
#> NULL
names(EuStockMarkets[ , 1])
#> NULL
is.mts(EuStockMarkets[ , 1])
#> [1] FALSE
is.ts(EuStockMarkets[ , 1])
#> [1] TRUE
colnames(EuStockMarkets[ , 1, drop = FALSE])
#> [1] "DAX"
names(EuStockMarkets[ , 1, drop = FALSE])
#> NULL
is.mts(EuStockMarkets[ , 1, drop = FALSE])
#> [1] FALSE
is.ts(EuStockMarkets[ , 1, drop = FALSE])
#> [1] TRUE
Created on 2021-07-01 by the reprex package (v2.0.0)
Something like this would be nice. Also, add an argument to group prior and posterior margins and inspect the differences among them.
library(ggplot2)
library(ggdist)
library(tibble)
pnl <- diff(log(EuStockMarkets[ , 1, drop = TRUE]))
pnl <- as.double(pnl)
tibble(pnl = pnl) %>%
ggplot(aes(x = pnl)) +
stat_histinterval(breaks = 100, outline_bars = TRUE)
Created on 2021-06-15 by the reprex package (v2.0.0)
Create a method that binds different views into the same object,
Bind_probs()
could be improved to display a prettier output, possibly using information from the user call.
Check if stats::constrOptim
can be used for constrained optimization. If so, two dependencies could be eliminated (pracma
and NlcOptim
).
Prepare for release:
devtools::build_readme()
urlchecker::url_check()
devtools::check(remote = TRUE, manual = TRUE)
devtools::check_win_devel()
rhub::check_for_cran()
revdepcheck::revdep_check(num_workers = 4)
cran-comments.md
Submit to CRAN:
usethis::use_version('minor')
devtools::submit_cran()
Wait for CRAN...
usethis::use_github_release()
usethis::use_dev_version()
Prepare for release:
git pull
devtools::build_readme()
urlchecker::url_check()
devtools::check(remote = TRUE, manual = TRUE)
devtools::check_win_devel()
rhub::check_for_cran()
revdepcheck::revdep_check(num_workers = 4)
cran-comments.md
git push
Submit to CRAN:
usethis::use_version('patch')
devtools::submit_cran()
Wait for CRAN...
git push
usethis::use_github_release()
usethis::use_dev_version()
git push
It would be nice to centralize flexible probabilities functionality in just one place. Bring CMA to the package may be interesting.
Prepare for release:
devtools::build_readme()
urlchecker::url_check()
devtools::check(remote = TRUE, manual = TRUE)
devtools::check_win_devel()
rhub::check_for_cran()
revdepcheck::revdep_check(num_workers = 4)
cran-comments.md
Submit to CRAN:
usethis::use_version('patch')
devtools::submit_cran()
Wait for CRAN...
usethis::use_github_release()
usethis::use_dev_version()
First release:
usethis::use_cran_comments()
Title:
and Description:
@returns
and @examples
Authors@R:
includes a copyright holder (role 'cph')Prepare for release:
devtools::build_readme()
urlchecker::url_check()
devtools::check(remote = TRUE, manual = TRUE)
devtools::check_win_devel()
rhub::check_for_cran()
Submit to CRAN:
usethis::use_version('patch')
devtools::submit_cran()
Wait for CRAN...
usethis::use_github_release()
usethis::use_dev_version()
Standardize the kind of inputs the package accepts; otherwise, it's necessary to go back and forth between different data structures, making it easy to break the code.
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